Introduction

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 1 in Modelling Financial Time Series, 2007, pp 1-25 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:FINANCIAL TIME SERIESABOUT THIS STUDYTHE WORLD'S MAJOR FINANCIAL MARKETSEXAMPLES OF DAILY PRICE SERIESA SELECTIVE REVIEW OF PREVIOUS RESEARCHImportant questionsThe random walk hypothesisThe efficient market hypothesisDAILY RETURNSMODELSMODELS IN THIS BOOKSTOCHASTIC PROCESSESGeneral remarksStationary processesAutocorrelationSpectral densityWhite noiseARMA processesGaussian processesLINEAR STOCHASTIC PROCESSESTheir definitionAutocorrelation tests

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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